Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/258236 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 9 [Article No.:] 152 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-29
Verlag: 
MDPI, Basel
Zusammenfassung: 
We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks with Value-at-Risk. The second goal is to estimate the true emergence pattern of the ultimate loss, i.e., the conditional distribution of the one-year loss given the ultimate loss, from which we can properly derive a risk measure for the one-year horizon from the simulations of ultimate losses. Finally, our third goal is to test if classical actuarial distributions can be used for modelling of the outstanding loss from the ultimate and the one-year perspective. In our simulation study, we investigate several synthetic loss triangles with various duration of the claims development process, volatility, skewness, and distributional assumptions of the individual development factors. We quantify the reserve risks without and with the estimation error of the claims development factors.
Schlagwörter: 
emergence pattern
Mack Chain Ladder
one-year risk
reserve risk
ultimate risk
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.